Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0530 |
| Annualized Std Dev | 0.3297 |
| Annualized Sharpe (Rf=0%) | -0.1606 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3980.0000 |
| NAs | 1.0000 |
| Minimum | -0.3117 |
| Quartile 1 | -0.0063 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0002 |
| Quartile 3 | 0.0077 |
| Maximum | 0.2786 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0006 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0004 |
| Stdev | 0.0208 |
| Skewness | -1.0873 |
| Kurtosis | 34.4250 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0157 |
| Gain Deviation | 0.0151 |
| Loss Deviation | 0.0194 |
| Downside Deviation (MAR=210%) | 0.0196 |
| Downside Deviation (Rf=0%) | 0.0157 |
| Downside Deviation (0%) | 0.0157 |
| Maximum Drawdown | 0.8131 |
| Historical VaR (95%) | -0.0269 |
| Historical ES (95%) | -0.0531 |
| Modified VaR (95%) | -0.0257 |
| Modified ES (95%) | -0.0257 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-12-27 | 2020-03-18 | NA | -0.8131 | 3582 | 3328 | NA |
| 2005-09-08 | 2005-12-21 | 2006-04-06 | -0.1282 | 146 | 74 | 72 |
| 2006-04-11 | 2006-06-28 | 2006-08-21 | -0.0734 | 92 | 55 | 37 |
| 2006-10-10 | 2006-10-17 | 2006-11-30 | -0.0256 | 37 | 6 | 31 |
| 2005-06-01 | 2005-07-19 | 2005-09-02 | -0.0240 | 67 | 34 | 33 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | -0.2 | 0 | 0.8 | -0.2 | -0.2 | -1.5 | -0.4 | -0.1 | -1.8 |
| 2006 | -0.7 | 1 | 0.5 | -0.4 | 0.1 | 1.5 | 0.4 | 0.2 | 0.7 | -0.6 | -0.3 | 0.2 | 2.5 |
| 2007 | 1 | -0.7 | 0.6 | 0.3 | -0.3 | 0.4 | -0.4 | 1 | 1.1 | -0.8 | 0.6 | -0.3 | 2.6 |
| 2008 | 0.7 | 1.3 | 1.7 | 2.5 | 0 | -0.1 | -0.7 | -0.4 | 2.6 | 3.7 | -4.3 | -0.2 | 6.8 |
| 2009 | -1.1 | -6.9 | -0.1 | 5.1 | 3 | -0.1 | -0.5 | 0.1 | -1.8 | -1 | -0.1 | -3.2 | -6.9 |
| 2010 | 1.9 | -0.6 | 0.5 | -1 | -0.1 | -1.7 | 0.8 | 2.1 | 1.2 | 0.5 | 1.3 | 0.7 | 5.7 |
| 2011 | 1.1 | 0.3 | 1.2 | -0.7 | -0.4 | 0.7 | 4.6 | -0.6 | 0.1 | 0.5 | -0.3 | 0.8 | 7.4 |
| 2012 | 0.7 | -0.2 | 0.6 | -0.5 | -1 | 0.3 | 1.3 | 0.1 | 0 | 1.2 | -1.1 | 0 | 1.4 |
| 2013 | 0.3 | 0 | 0 | 1.7 | 1.3 | 0.7 | -0.8 | 0.8 | 0.9 | -0.4 | 0.4 | 0.5 | 5.6 |
| 2014 | -0.1 | 0 | 1.2 | 0 | -0.6 | 0.3 | -1.1 | 0.6 | 6.6 | 1.2 | -2.9 | -0.7 | 4.2 |
| 2015 | 0.7 | -0.6 | 0.9 | 1.3 | 1.9 | 1.9 | 3 | 1.5 | -2.5 | 2.3 | -0.3 | 1.2 | 11.6 |
| 2016 | -0.7 | -0.2 | -2.4 | 0.4 | -0.5 | 0.6 | -0.3 | 0.6 | -0.1 | 0.3 | -0.2 | -1 | -3.5 |
| 2017 | 0.4 | -0.3 | -0.2 | -0.7 | 0 | 0.5 | -0.6 | -0.8 | 1.2 | -0.7 | -0.7 | 0.1 | -1.8 |
| 2018 | -1.5 | 0.1 | 1 | 0 | 0.7 | 0.5 | -0.1 | 0.7 | 1.1 | 0.4 | 0.2 | 1.9 | 5 |
| 2019 | -0.4 | -0.4 | 1.7 | 0.3 | -1.2 | 0.4 | -0.9 | 0.3 | -0.5 | 0.2 | -0.8 | 0.4 | -1 |
| 2020 | -1.6 | -5 | -6 | -2.7 | 1.6 | -0.1 | -0.6 | 1.9 | 1.1 | -0.3 | 3 | 0 | -8.8 |
| 2021 | 1 | 0 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
